I think he's either talking about the exhaust headers, the flex pipe, or the cat back sections between the cat and the muffler. I think he's calling the muffler the "exhaust".

Quick Lesson:

Here's how the exhaust system looks...

1) Engine
2) Exhaust Headers
3) Collector (combines 4 into 1 or 4 to 2 to 1)
4) Flex Pipe (Allow the engine to move without bending the exhaust)
5) Catalytic Converter (sometimes before the flex pipe)
6) Cat-Back (section between the catalytic converter and the muffler)
7) Muffler (Absorbes engine echaust noises and provides a controlled amount of backpressure)